What platform is it? Are you looking to play online or split-screen.If you are going online try Dark Souls as it is a very good game and with its sequel coming out soon you should pick it up cheap.
this is very different from the above (or any game in existance for that matter), but if your looking for a ps2 game to play together definitely try kuri kuri mix (i think its called adventures of cookie and cream in english version).
you and your friend have to race against time and solve some puzzles together. you have to get to the exit of each level before time runs out. its a fun random colourful game. i guess its a little childish and the story is just stupid but its really a fun co-op game.